INSTRUCTION OF CENTRAL BANK OF THE RUSSIAN FEDERATION

of November 15, 2018 No. 4969-U

About modification of the Provision of the Bank of Russia of December 3, 2015 No. 511-P "About procedure of payments credit institutions of size of market risk"

1. Based on article 62 of the Federal Law of July 10, 2002 No. 86-FZ "About the Central bank the Russian Federation (Bank of Russia)" (The Russian Federation Code, 2002, No. 28, Art. 2790; 2003, No. 2, Art. 157; No. 52, Art. 5032; 2004, No. 27, Art. 2711; No. 31, Art. 3233; 2005, No. 25, Art. 2426; No. 30, Art. 3101; 2006, No. 19, Art. 2061; No. 25, Art. 2648; 2007, No. 1, Art. 9, Art. 10; No. 10, Art. 1151; No. 18, Art. 2117; 2008, No. 42, Art. 4696, Art. 4699; No. 44, Art. 4982; No. 52, Art. 6229, Art. 6231; 2009, No. 1, Art. 25; No. 29, Art. 3629; No. 48, Art. 5731; 2010, No. 45, Art. 5756; 2011, No. 7, Art. 907; No. 27, Art. 3873; No. 43, Art. 5973; No. 48, Art. 6728; 2012, No. 50, Art. 6954; No. 53, Art. 7591, Art. 7607; 2013, No. 11, Art. 1076; No. 14, Art. 1649; No. 19, Art. 2329; No. 27, Art. 3438, Art. 3476, Art. 3477; No. 30, Art. 4084; No. 49, Art. 6336; No. 51, Art. 6695, Art. 6699; No. 52, Art. 6975; 2014, No. 19, Art. 2311, Art. 2317; No. 27, Art. 3634; No. 30, Art. 4219; No. 40, Art. 5318; No. 45, Art. 6154; No. 52, Art. 7543; 2015, No. 1, Art. 4, Art. 37; No. 27, Art. 3958, Art. 4001; No. 29, Art. 4348, Art. 4357; No. 41, Art. 5639; No. 48, Art. 6699; 2016, No. 1, Art. 23, Art. 46, Art. 50; No. 26, Art. 3891; No. 27, Art. 4225, Art. 4273, Art. 4295; 2017, No. 1, Art. 46; No. 14, Art. 1997; No. 18, Art. 2661, Art. 2669; No. 27, Art. 3950; No. 30, Art. 4456; No. 31, Art. 4830; No. 50, Art. 7562; 2018, No. 1, Art. 66; No. 9, Art. 1286; No. 11, Art. 1584, Art. 1588; No. 18, Art. 2557; No. 24, Art. 3400; No. 27, Art. 3950; No. 31, Art. 4852; No. 32, the Art. 5115) and according to the solution of the Board of directors of the Bank of Russia (the minutes of the Board of directors of the Bank of Russia of November 7, 2018 No. 34) to bring in the Provision of the Bank of Russia of December 3, 2015 No. 511-P "About procedure of payments credit institutions of size of market risk", registered by the Ministry of Justice of the Russian Federation on December 28, 2015 No. 40328, the following changes.

1.1. In Item 1.1:

state paragraph two in the following edition:

"on the securities (debt, equity) having fair value and classified according to the Provision of the Bank of Russia of October 2, 2017 No. 606-P "About procedure for reflection on accounts of financial accounting by credit institutions of transactions with securities", the registered Ministry of Justice of the Russian Federation on December 12, 2017 No. 49215, on July 18, 2018 No. 51630 (further - the Provision of the Bank of Russia No. 606-P), as estimated at fair value through profit or loss and acquired with sales objective in the short term determined according to internal documents of credit institution or as estimated at fair value through other comprehensive income in the presence of the intention about realization in the short term reflected in internal documents of credit institution including the securities transferred on the transactions made on returnable basis and also delivered in trust management or acquired by the trustee for the benefit of credit institution for carrying out transactions for the purpose of making of transactions of purchase and sale in the short term;";

the fourth - to state paragraphs to the sixth in the following edition:

"on the open line items nominated in foreign currency and (or) gold and open line items in rubles which size depends on change of the foreign exchange rates established by the Bank of Russia in relation to ruble and (or) book prices on gold, determined according to the Instruction of the Bank of Russia of December 28, 2016 No. 178-I "About establishment of the sizes (limits) of open foreign exchange positions, the technique of their calculation and features of implementation of supervision of their observance by credit institutions" registered by the Ministry of Justice of the Russian Federation on March 17, 2017 No. 46007, on November 3, 2017 No. 48788 (further - the Instruction of the Bank of Russia No. 178-I);

on the goods which are traded on the organized market regarding the balance sheet assets and liabilities nominated in precious metals (except gold) or in rubles which size depends on change of the book prices established by the Bank of Russia on precious metals (except gold) regarding off-balance requirements and obligations for delivery of goods, including precious metals (except gold), under agreements under which date of the conclusion of the agreement does not match with date of its execution, on which action of the Provision of the Bank of Russia of July 4, 2011 No. 372-P "On procedure for financial accounting of derivative financial instruments" does not expatiate, No. registered by the Ministry of Justice of the Russian Federation on July 22, 2011 21445, on December 6, 2013 No. 30553, on December 18, 2015 No. 40165, on December 8, 2017 No. 49187 (further - the Provision of the Bank of Russia No. 372-P), and also regarding the pledge received in providing on balance sheet assets and (or) off-balance obligations, including in the form of precious metals (except gold);

on derivative financial instruments and other agreements to which action of the Provision of the Bank of Russia No. 372-P which basic (basic) asset are the securities having the fair value determined according to the procedure extends, established by the Provision of the Bank of Russia No. 606-P, the indexes calculated based on set of the prices of securities (further - indexes of securities), foreign currency or gold, goods (including the precious metals (except gold) which are traded on the organized markets, approach of the circumstance which is credit event, agreements under the terms of which relevant requirements and (or) obligations are calculated on the basis of interest rates, the foreign exchange rates, book prices on gold, goods prices (including the precious metals (except gold) which are traded on the organized markets (further for the purpose of this provision - derivative financial instruments).";

add with the paragraph of the following content:

"For the purpose of calculation of market risk of investment in the securities specified in the paragraph the second this Item are determined taking into account off-balance requirements and obligations for delivery of securities for purchase and sale agreements of securities according to which date of initial recognition and derecognition of securities did not step on settlement date of market risk and to which action of the Provision of the Bank of Russia No. 372-P. does not extend".

1.2. In Item 1.2:

third to state the paragraph in the following edition:

"investments of credit institutions in the share and the bond of subordinated bonded loans included in structure of the indicators reducing the amount of sources according to the Provision of the Bank of Russia of July 4, 2018 No. 646-P "About technique of determination of own means (capital) of credit institutions ("Basel III")", the registered Ministry of Justice of the Russian Federation on September 10, 2018 No. 52122 (further - the Provision of the Bank of Russia No. 646-P);";

the fifth to state the paragraph in the following edition:

"Calculation of market risk non-bank credit institutions - the central partners does not turn on the financial instruments and other line items specified in Item 1.1 of this provision, formed as a result of carrying out transactions when implementing clearing activities and functions of the central partner.";

add with paragraphs of the following content:

"The securities introduced by credit institution in the collective clearing providing (guarantee fund) created (created) by the clearing organization (the central partner) do not join in calculation of market risk in case of compliance to conditions of code 8846 of appendix 1 to the Instruction of the Bank of Russia of June 28, 2017 to No. 180-I "About obligatory standard rates of banks", registered by the Ministry of Justice of the Russian Federation on July 12, 2017 No. 47383, on November 30, 2017 No. 49055, on January 10, 2018 No. 49586, on April 5, 2018 No. 50655, on July 11, 2018 No. 51589, on August 22, 2018 No. 51974, on September 25, 2018 No. 52250 (further - the Instruction of the Bank of Russia No. 180-I).

Calculation of market risk until determination of the price and (or) date of calculations does not join agreements (regarding the derivative financial instruments providing delivery of basic (basic) asset, purchase and sale agreements of assets) according to which conditions calculations will be performed at the price which will be defined for the date established by the agreement and (or) on which there is no date of calculations. From pricing date and (or) date of payment under the specified agreements relevant requirements and (or) obligations join in calculation of market risk according to the procedure, established by this Provision.".

1.3. In Item 1.4:

in the first offer of paragraph one of the word "and requirements for the agreements which are derivative financial instruments, not providing delivery of basic (basic) asset" to exclude, add with words ", at the same time the goods received in providing in the form of pledge join in calculation of net line items as long position";

paragraphs of the seventh - to state the ninth in the following edition:

"For the purpose of calculation of percentage and share risks in case of determination of net line item on homogeneous securities the long positions created by the securities transferred on the transactions made on returnable basis, or encumbered otherwise and short positions on securities if the term which remained from settlement date of market risk before the end of the period of encumbrance exceeds remaining period of deduction of short position are not offset.

For the purpose of calculation percentage and share offset of balance sheet assets or obligations on securities is risk and off-balance requirements or obligations for derivative financial instruments it is performed only regarding the forward agreements which are not containing the built-in derivative financial instruments which are not separated the basic agreement and regarding the credit derivative financial instruments hedging the line items on securities included in calculation of market risk if rules of Item 1, and also requirements of Items 3 and (or) 4 of article 4.1 of the Federal Law of October 26, 2002 No. 127-FZ "About insolvency (bankruptcy)" (The Russian Federation Code, 2002, No. 43, Art. 4190 are applied to the specified forward agreements and credit derivative financial instruments; 2004, No. 35, Art. 3607; 2005, No. 1, Art. 18, Art. 46; No. 44, Art. 4471; 2006, No. 30, Art. 3292; No. 52, Art. 5497; 2007, No. 7, Art. 834; No. 18, Art. 2117; No. 30, Art. 3754; No. 41, Art. 4845; No. 49, Art. 6079; 2008, No. 30, Art. 3616; No. 49, Art. 5748; 2009, No. 1, Art. 4, Art. 14; No. 18, Art. 2153; No. 29, Art. 3632; No. 51, Art. 6160; No. 52, Art. 6450; 2010, No. 17, Art. 1988; No. 31, Art. 4188, Art. 4196; 2011, No. 1, Art. 41; No. 7, Art. 905; No. 19, Art. 2708; No. 27, Art. 3880; No. 29, Art. 4301; No. 30, Art. 4576; No. 48, Art. 6728; No. 49, Art. 7015, Art. 7024, Art. 7040, Art. 7061, Art. 7068; No. 50, Art. 7351, Art. 7357; 2012, No. 31, Art. 4333; No. 53, Art. 7607, Art. 7619; 2013, No. 23, Art. 2871; No. 26, Art. 3207; No. 27, Art. 3477, Art. 3481; No. 30, Art. 4084; No. 51, Art. 6699; No. 52, Art. 6975, Art. 6984; 2014, No. 11, Art. 1095, Art. 1098; No. 30, Art. 4217; No. 49, Art. 6914; No. 52, Art. 7543; 2015, No. 1, Art. 10, Art. 11, Art. 29, Art. 35; No. 27, Art. 3945, Art. 3958, Art. 3967, Art. 3977; No. 29, Art. 4350, Art. 4355, Art. 4362; 2016, No. 1, Art. 11, Art. 27, Art. 29; No. 23, Art. 3296; No. 26, Art. 3891; No. 27, Art. 4225, Art. 4237, Art. 4293, Art. 4305; 2017, No. 1, Art. 29; No. 18, Art. 2661; No. 25, Art. 3596; No. 31, Art. 4761, Art. 4767, Art. 4815, Art. 4830; No. 48, Art. 7052; 2018, No. 1, Art. 54; No. 11, Art. 1588; No. 18, Art. 2557, Art. 2563, Art. 2576; No. 28, Art. 4139; No. 32, Art. 5115; No. 47, Art. 7140; No. 49, the Art. 7524) or the similar rules established by the right of foreign state or regulations of the international treaty in the following procedure:

in full for line items on securities and opposite line items on homogeneous securities under forward agreements and in case of full compliance between security and basic (basic) asset of the credit derivative financial instrument representing swap on comprehensive income (at the same time the term which remained before the expiration of the agreement (contract) is not considered);";

in paragraph ten to exclude the word "debt";

in the paragraph the thirteenth to replace figures "2.3.30" with figures "2.3.29", to replace the word "139-I" with the word "180-I";

in the paragraph the fourteenth to replace the word "395-P" with the word "646-P";

add with the new paragraph of the following content:

"If the received size of net line item has the sign "+", the net line item is long if sign "-" - short.".

1.4. In the paragraph the second Item 1.5 of the word "appendix 10 to the Provision of the Bank of Russia No. 385-P" shall be replaced with words "the Provision of the Bank of Russia No. 606-P".

1.5. In Item 1.6:

the paragraph one after the word "options" to add with words ", except credit notes", after the word to "tool" to add with words "(except credit notes)";

in the paragraph the second "appendix 10 to the Provision of the Bank of Russia No. 385-P" shall be replaced with words words "the Provision of the Bank of Russia No. 606-P";

in paragraph four:

in the first offer "debt" to exclude the word;

the second offer to state in the following edition: "Credit notes join in calculation of special interest risk credit institution (except the credit institution which is the issuer of credit note) as long or short position on the corresponding basic (basic) asset and as long or short position on credit note, and the credit institutions which are issuers of credit notes - as short position on the corresponding basic (basic) asset; in calculation of general interest risk - as one long or short position directly on credit note.";

in paragraph six to replace the word "124-I" with the word "178-I".

1.6. In Item 1.7:

in paragraph eleven to exclude the word "absolute";

the thirteenth to state the paragraph in the following edition:

"By each type of basic (basic) asset of the option the sizes Vega risk calculated for each option taking into account procedure for the determination of options for the same basic (basic) asset established by this Provision for each type of market risk are summed up. The cumulative size Vega risk is equal to value of the amount of absolute values Vega risk by each type of basic (basic) asset.".

1.7. In Item 1.8:

in paragraph one of the word "established by the Provision of the Bank of Russia No. 385-P" shall be replaced with words "the Bank of Russia No. 606-P established by the Provision";

in paragraph four to replace the word "395-P" with the word "646-P".

1.8. In Item 1.9:

in paragraph one to replace the word "124-I" with the word "178-I";

state paragraph two in the following edition:

"The size of currency risk is taken into consideration of size of market risk if for settlement date of size of market risk the percentage ratio of the amount of open foreign exchange positions in separate foreign currencies and separate precious metals and sizes of own means (capital) of credit institution is equal to 2 percent or exceeds 2 percent. At the same time data on the amount of open foreign exchange positions in separate foreign currencies and separate precious metals reflected in the reporting under the form 0409634 "The report on open foreign exchange positions" established by appendix 1 to the Instruction of the Bank of Russia of October 8, 2018 No. 4927-U "About the list, forms and procedure for creation and representation of forms of the reporting of credit institutions in the Central bank of the Russian Federation", to No. registered by the Ministry of Justice of the Russian Federation on December 13, 2018 52992, as of settlement date of cumulative size of market risk, and the size of own means (capital) calculated according to requirements of the Provision of the Bank of Russia No. 646-P. are used".

1.9. In Item 1.10 to replace the word "139-I" with the word "180-I".

1.10. In Item 2.1:

in the paragraph the second shall be replaced with words the words "including" "and also", to add with words "to which hypothecation certificates of participation belong";

to add the paragraph of the eighth with words "(except swaps on comprehensive income which basic (basic) asset are the securities included in calculation of equity risk according to Chapter in 3 this provision)".

1.11. The fifth Item 2.2 after words of "factors" to add the paragraph with words of "credit risk", after words "the issuer of securities" to add with the words "and providing on securities".

1.12. Add Item 2.3 with subitem 2.3.3 of the following content:

"2.3.3. When calculating special interest risk for the securities which are instruments of securitization or instruments of repeated securitization secure part of line item, certain the same as secure part of risk line item which exception of calculation of size of credit risk is performed according to the paragraph the eighth Item 3 of the Provision of the Bank of Russia of July 4, 2018 No. 647-P "About determination of the size of credit risk by banks according to transactions of which attraction of money by means of release of debt securities is result is excluded, obligation fulfillment on each of which is provided fully or partially with cash receipts from the assets transferred to providing", No. 52392 registered by the Ministry of Justice of the Russian Federation on October 10, 2018 (further - the Provision of the Bank of Russia No. 647-P).

The size of special interest risk on the securities which are instruments of securitization or instruments of repeated securitization is equal in the specified case to the amount of the following sizes:

sizes of special interest risk by unsecured part of the line item determined using coefficient of the risk established by this Item concerning the corresponding securities;

positive difference (in the presence) between the size of special interest risk by secure part of the line item determined using coefficient of the risk established by this Item concerning the corresponding securities and the size of credit risk calculated according to Item 3 of the Provision of the Bank of Russia No. 647-P concerning the providing risk line item increased by 8 percent.".

1.13. In Item 2.4:

in the paragraph the second subitem 2.4.1 to replace the word "139-I" with the word "180-I";

in subitem 2.4.2:

word in paragraph seven "Item 2.3 of the Instruction of the Bank of Russia No. 139-I" shall be replaced with words "subitem 2.3.1 of Item 2.3 of the Instruction of the Bank of Russia No. 180-I";

to state the paragraph of the eighth in the following edition:

"the securities emitted by the banks created by the legislation of the countries having country estimates "0", "1", "2", and also the countries with the high level of the income which is members of OECD and (or) the Eurozone, or completely provided with guarantee (bank guarantee), the bank guarantee, created by the legislation of the country having country assessment "0", "1", "2", and also the countries with the high level of the income, being the member of OECD and (or) the Eurozone;";

paragraphs the tenth and eleventh to recognize invalid;

add subitem 2.4.3 with paragraphs of the following content:

"the securities emitted by the banks created by the legislation of the countries having country estimates "3", "4", "5", "6", or completely provided with guarantee (bank guarantee), the bank guarantee, created by the legislation of the country having country estimates "3", "4", "5", "6";

the securities emitted by legal entities (except for banks), except securities, the specified in paragraphs three and the fifth subitem 2.4. 1, paragraphs the fourth, sixth - the ninth and twelfth subitem 2.4.2 of this Item and in paragraphs three, the fifth, seventh and eighth this subitem.

The securities which are not meeting conditions of inclusion in measure calculation of PKI according to the Instruction of the Bank of Russia No. 180-I belong to the category of securities with average risk.";

in subitem 2.4.4:

state paragraph two in the following edition:

"the securities meeting conditions of inclusion in measure calculation of PKI according to the Instruction of the Bank of Russia No. 180-I;";

add with the paragraph of the following content:

"other securities which are not instruments of securitization or instruments of repeated securitization, are not specified in subitems 2.4.1 - 2.4.3 presents of Item.".

1.14. State Item 2.5 in the following edition:

"2.5. The securities which are instruments of securitization or repeated securitization are classified by groups of special interest risk in the following procedure.

2.5.1. The securities having the credit rating of long-term creditworthness according to obligations in foreign or national currency on the international rating scale appropriated by at least one credit rating agency at the level from "AAA" to "AA-" on classifications of credit rating agencies "Es and Pi Global Reytinggs" ("S&P Global Ratings") or "Reytinggs's Fitch" ("Fitch Ratings") or from "Aaa" to "Aa3" on classification of credit rating agency "Mudis Investors Service" ("Moody" s Investors Service"), or the credit rating of short-term creditworthness according to obligations in foreign or national currency on the international rating scale belong to the securities which are instruments of securitization or instruments of repeated securitization with low risk, appropriated by at least one credit rating agency at the level of "A-1" on classification of credit rating agency "Es and Pi Global Reytinggs" ("S&P Global Ratings"), "F1" by classification of credit rating agency "Reytinggs's Fitch" ("Fitch Ratings") or "P-1" by classification of credit rating agency "Mudis Investors Service" ("Moody" s Investors Service").

2.5.2. The securities having the credit rating of long-term creditworthness according to obligations in foreign or national currency on the international rating scale appropriated by at least one credit rating agency at the level from "A+" to "A-" on classifications of credit rating agencies "Es and Pi Global Reytinggs" ("S&P Global Ratings") or "Reytinggs's Fitch" ("Fitch Ratings") or from "A1" to "A3" on classification of credit rating agency "Mudis Investors Service" ("Moody" s Investors Service"), or the credit rating of short-term creditworthness according to obligations in foreign or national currency on the international rating scale belong to the securities which are instruments of securitization or instruments of repeated securitization with risk below average, appropriated by at least one credit rating agency at the level of "A-2" on classification of credit rating agency "Es and Pi Global Reytinggs" ("S&P Global Ratings"), "F2" by classification of credit rating agency "Reytinggs's Fitch" ("Fitch Ratings") or "P-2" by classification of credit rating agency "Mudis Investors Service" ("Moody" s Investors Service").

2.5.3. The securities having the credit rating of long-term creditworthness according to obligations in foreign or national currency on the international rating scale appropriated by at least one credit rating agency at the level from "BBB+" to "BBB-" on classifications of credit rating agencies "Es and Pi Global Reytinggs" ("S&P Global Ratings") or "Reytinggs's Fitch" ("Fitch Ratings") or from "Baa1" to "Baa3" on classification of credit rating agency "Mudis Investors Service" ("Moody" s Investors Service"), or the credit rating of short-term creditworthness according to obligations in foreign or national currency on the international rating scale belong to the securities which are instruments of securitization or instruments of repeated securitization with average risk, appropriated by at least one credit rating agency at the level of "A-3" on classification of credit rating agency "Es and Pi Global Reytinggs" ("S&P Global Ratings"), "F3" by classification of credit rating agency "Reytinggs's Fitch" ("Fitch Ratings") or "P-3" by classification of credit rating agency "Mudis Investors Service" ("Moody" s Investors Service").

2.5.4. The securities having the credit rating of long-term creditworthness according to obligations in foreign or national currency on the international rating scale appropriated by at least one credit rating agency at the level from "BB+" to "BB-" on classifications of credit rating agencies "Es and Pi Global Reytinggs" ("S&P Global Ratings") or "Reytinggs's Fitch" ("Fitch Ratings") or from "Ba1" to "Ba3" on classification of credit rating agency "Mudis Investors Service" belong to the securities which are instruments of securitization or instruments of repeated securitization with risk above average ("Moody" s Investors Service").

2.5.5. The securities having the credit rating of long-term creditworthness according to obligations in foreign or national currency on the international rating scale appropriated by at least one credit rating agency at the level below "BB-" on classifications of credit rating agencies "Es and Pi Global Reytinggs" ("S&P Global Ratings") or "Reytinggs's Fitch" ("Fitch Ratings") or below "Ba3" on classification of credit rating agency "Mudis Investors Service" ("Moody" s Investors Service"), or the credit rating of short-term creditworthness according to obligations in foreign or national currency on the international rating scale belong to the securities which are instruments of securitization or instruments of repeated securitization with high risk, appropriated by at least one credit rating agency below "A-3" on classification of credit rating agency "Es and Pi Global Reytinggs" ("S&P Global Ratings"), below "F3" on classification of credit rating agency "Reytinggs's Fitch" ("Fitch Ratings") or below "P-3" on classification of credit rating agency "Mudis Investors Service" ("Moody" s Investors Service"), or not having credit rating.".

1.15. The paragraph one of Item 2.7 to declare invalid.

1.16. In Item 2.8:

the paragraph one after the word "tools" to add with words "(except credit derivative financial instruments in the cases established by this Item)";

state paragraph two in the following edition:

"Calculation of special interest risk for line items for the credit derivative financial instruments determined according to Item 1.6 of this provision regarding line items on the securities which are basic (basic) asset of the credit derivative financial instrument, line items on the nominal amount concerning the control face established by conditions of the credit derivative financial instrument, and (or) line items on credit note except credit derivative financial instruments on which line items are offset with opposite line items on securities according to Item 1.4 of this provision is performed using the coefficients of risk established in Item 2.3 of this provision depending on type of debt securities (basic (basic) asset), type of control person and (or) the issuer of credit note respectively.";

word in paragraph eight", the specified basket default swap joins" shall be replaced with words "the specified credit derivative financial instrument turns on credit institution - the seller of protection (in case of credit notes - the credit institution which is not the issuer of credit note)", "the debt securities which are the cornerstone of basket default swap" shall be replaced with words words "the basic (basic) asset which is the cornerstone of the credit derivative financial instrument, proceeding from the level of the specified credit rating";

add with the paragraph of the following content:

"In case of application by the credit institution which is not the issuer of credit note for calculation of special interest risk of credit rating for credit notes the line item on the corresponding basic (basic) asset determined in Item 1.6 of this provision does not join in calculation of special interest risk.".

1.17. In Item 2.9:

the paragraph one of subitem 2.9.2.1 after the word to "tools" to add with words ", including to credit derivative financial instruments";

the paragraph one of subitem 2.9.2.3 after the word "Provisions" to add with words ", except credit derivative financial instruments";

in subitem 2.9.3:

the paragraph one after the word "appendices" to add with figure "1";

the fourth after words "pole of Item 2.1 of this provision" to add the paragraph with words "(except credit derivative financial instruments, the requirement or the obligation on delivery of money on which are distributed according to the paragraph second or third this subitem)";

the fifth after the word "appendices" to add the paragraph with figure "1";

to add subitem 2.9.4 after the word "papers" with words ", including on credit derivative financial instruments which line items on control person are classified according to the paragraph to the second Item 2.8 of this provision similarly to line items under securities", after the word "appendices" to add with figure "1";

subitems 2.9.5 - 2.9.7, paragraphs two - the fourth subitem 2.9. Subitems 2.9.9 and 2.9.11 after the word "appendices" to add 8, with figure "1";

to add subitem 2.9.12 after the word "papers" with words ", including on credit derivative financial instruments which line items on control person are classified according to the paragraph to the second Item 2.8 of this provision similarly to line items under securities", after the word "appendices" to add with figure "1".

1.18. In Item 2.10:

in paragraph one "share" to replace the word with the word of "percentage";

the third and fourth after the word "appendices" to add paragraphs with figure "1".

1.19. In Item 3.1:

the fourth to add the paragraph with words ", and also the securities certifying the owner's share in the right of common property and (or) granting voting power in case of decision making by general meeting of owners of securities, including hypothecation certificates of participation, inconvertible preferred shares on which general shareholder meeting made the decision on nonpayment or incomplete dividend payout";

the fifth after the word of "tools" to add the paragraph with words ", including credit derivative financial instruments".

1.20. In Item 3.2:

the fifth to state the paragraph in the following edition:

"SFR - special equity risk, that is risk of adverse change of fair value of securities and derivative financial instruments under the influence of the factors of credit risk connected with the issuer of securities and providing on securities;";

in paragraph eight:

after the word to "tools" to add with words ", except credit derivative financial instruments,";

add with the offer of the following content: "Credit derivative financial instruments are offset if meet conditions of subitem 2.9.2.1 of Item 2.9 of this provision.".

1.21. In the paragraph the second Item 3.3 of the word "Index of MICEX 50" shall be replaced with words "the Index of the Moscow Exchange", shall be replaced with words the words "7 to the Instruction of the Bank of Russia No. 139-I" "2 to this Provision".

1.22. In Item 4.1:

add paragraph two with words ", off-balance requirements and obligations for delivery of goods for agreements according to which date of the conclusion of the agreement does not match with date of its execution, to which action of the Provision of the Bank of Russia No. 372-P does not extend";

third to state the paragraph in the following edition:

"the pledge received in providing on balance sheet assets and (or) off-balance obligations;".

1.23. Third Item 4.4 after the words "At the Same Time Line Item on Swap" to add the paragraph with words ", included in calculation of commodity risk,".

1.24. State Item 4.5 in the following edition:

"4.5. The goods received as a deposit on balance sheet assets and (or) off-balance obligations join in calculation of commodity risk in the size which is not exceeding the size of settlement reserve on possible losses determined according to the Provision of the Bank of Russia of June 28, 2017 No. 590-P "About procedure for forming by credit institutions of reserves on possible losses by loans, the loan and equated to it debt", the registered Ministry of Justice of the Russian Federation on July 12, 2017 No. 47384, on October 3, 2018 No. 52308 and (or) the Provision of the Bank of Russia of October 23, 2017 No. 611-P "About procedure for forming by credit institutions of reserves on possible losses", the registered Ministry of Justice of the Russian Federation on March 15, 2018 No. 50381.".

1.25. In appendix:

to add mark to appendix after the word "Appendix" with figure "1";

in the paragraph the second Item 1 of Comments for example of calculation of general interest risk of the word "having investment rating (that is not carried to securities with high risk)" shall be replaced with words "not being the instrument of securitization or the instrument of repeated securitization and not belonging to securities with high risk".

1.26. Add with appendix 2 in edition of appendix to this Instruction.

2. This Instruction becomes effective after 10 days after day of its official publication.

Appendix

to the Instruction of the Bank of Russia of November 15, 2018 No. 4969-U "About modification of the Provision of the Bank of Russia of December 3, 2015 No. 511-P "About procedure of payments credit institutions of size of market risk"

"Appendix 2

to the Provision of the Bank of Russia of December 3, 2015 No. 511-P "About procedure of payments credit institutions of size of market risk"

List of the stock indexes of shares

1. Euro Stoxx 50 (Eurozone)

2. CAC 40 (France)

3. DAX 30 (Germany)

4. FTSE 100 (Great Britain)

5. FTSE MIB (Italy)

6. S&P/Toronto Stock Exchange 60 Index (Canada)

7. Dow Jones Industrial Average (USA)

8. NASDAQ 100 (USA)

9. Shenzhe№Stock Exchange Component Stock Index (China)

10. FTSE China 50 (China)

11. Hang Seng (Hong Kong)

12. MSCI Asia APEX 50 (Pacific Rim)

13. S&P Asia 50 (Hong Kong, South Korea, Singapore, Taiwan)

14. NIKKEI 225 (Japan)

15. TOPIX 100 (Japan)

16. KOSPI 100 (South Korea)

17. S&P/ASX 100 (Australia)

18. S&P Europe 350 (Eurozone)

19. FTSE 350 (Great Britain)

20. S&P 500 (USA)

21. Russell 1000 (USA)

22. NASDAQ Composite (USA)

23. NYSE Composite Index (USA)

24. S&P/Toronto Stock Exchange Composite (Canada)

25. MSCI AC Asia Pacific (Pacific Rim)

26. Shanghai Se Composite (China)

27. Shenzhe№Composite (China)

28. CSI 300 Index (China)

29. Hang Seng Composite (Hong Kong)

30. NIKKEI 500 (Japan)

31. TOPIX 500 (Japan)

32. KOSPI 200 (South Korea)

33. S&P/ASX 300 (Australia).".

 

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